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~isPartOf:"Journal of consumer research : JCR ; an interdisciplinary bimonthly"
~isPartOf:"Journal of econometrics"
~language:"bul"
~language:"eng"
~language:"hun"
~language:"msa"
~language:"spa"
~person:"Aït-Sahalia, Yacine"
~person:"Laran, Juliano"
~person:"Tauchen, George Eugene"
~person:"Xiu, Dacheng"
~subject:"Betafaktor"
~subject:"Börsenkurs"
~subject:"High-frequency data"
~subject:"Konsumentenverhalten"
~subject:"Volatility"
~type_genre:"Amtsdruckschrift"
~type_genre:"Article in journal"
~type_genre:"Bibliographie enthalten"
~type_genre:"Conference paper"
~type_genre:"Konferenzbeitrag"
~type_genre:"Ratgeber"
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Betafaktor
Börsenkurs
High-frequency data
Konsumentenverhalten
Volatility
Volatilität
30
Estimation theory
20
Schätztheorie
20
Theorie
19
Theory
19
Estimation
16
Schätzung
16
Stochastic process
13
Stochastischer Prozess
13
Share price
12
Capital income
11
Kapitaleinkommen
11
Time series analysis
11
Zeitreihenanalyse
11
Option pricing theory
10
Optionspreistheorie
10
CAPM
8
Consumer behaviour
8
Stochastic volatility
8
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7
United States
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Forecasting model
5
Market microstructure
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Portfolio selection
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Portfolio-Management
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Prognoseverfahren
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ARCH model
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ARCH-Modell
4
Financial market
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Finanzmarkt
4
Jumps
4
Nichtparametrisches Verfahren
4
Nonparametric statistics
4
Semimartingale
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Swap
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Article
40
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Amtsdruckschrift
Article in journal
Bibliographie enthalten
Conference paper
Konferenzbeitrag
Ratgeber
Aufsatz in Zeitschrift
40
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Bulgarian
English
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Author
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Aït-Sahalia, Yacine
Laran, Juliano
Tauchen, George Eugene
Xiu, Dacheng
Bollerslev, Tim
19
Todorov, Viktor
17
Andersen, Torben
11
Janiszewski, Chris A.
11
McAleer, Michael
9
Krishna, Aradhna
8
Meddahi, Nour
8
Mykland, Per A.
8
Wyer, Robert S.
8
Bagchi, Rajesh
7
Li, Jia
7
Patton, Andrew J.
7
Rucker, Derek D.
7
Shephard, Neil G.
7
Shiv, Baba
7
Taylor, Robert
7
Argo, Jennifer J.
6
Bearden, William O.
6
Berger, Jonah
6
Cavaliere, Giuseppe
6
Francq, Christian
6
Ghysels, Eric
6
Kim, Donggyu
6
Lichtenstein, Donald R.
6
McGill, Ann L.
6
Meyers-Levy, Joan
6
Morales, Andrea C.
6
Vohs, Kathleen D.
6
Wilcox, Keith
6
Asai, Manabu
5
Belk, Russell W.
5
Fishbach, Ayelet
5
Folkes, Valerie S.
5
Gal, David
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
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Journal of consumer research : JCR ; an interdisciplinary bimonthly
Journal of econometrics
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of financial economics
4
The review of financial studies
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of the American Statistical Association : JASA
2
Annual review of financial economics
1
Econometric theory
1
Econometrics : open access journal
1
Journal of economic literature
1
Journal of marketing
1
Journal of marketing research : JMR
1
Nonparametric dynamic modelling
1
Quantitative economics : QE ; journal of the Econometric Society
1
Review of finance : journal of the European Finance Association
1
The quarterly journal of finance
1
The review of economic studies
1
The review of economics and statistics
1
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ECONIS (ZBW)
40
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1
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
2
Closed-form implied volatility surfaces for stochastic volatility models with jumps
Aït-Sahalia, Yacine
;
Li, Chenxu
;
Li, Chen Xu
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 364-392
Persistent link: https://www.econbiz.de/10012619431
Saved in:
3
High frequency traders and the price process
Aït-Sahalia, Yacine
;
Brunetti, Celso
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
Saved in:
4
High-frequency factor models and regressions
Aït-Sahalia, Yacine
;
Kalnina, Ilze
;
Xiu, Dacheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
Saved in:
5
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine
;
Karamann, Mustafa
;
Mancini, Loriano
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
Saved in:
6
A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
211
(
2019
)
1
,
pp. 176-205
Persistent link: https://www.econbiz.de/10012303614
Saved in:
7
Knowing factors or factor loadings, or neither? : evaluating estimators of large covariance matrices with noisy and asynchronous data
Dai, Chaoxing
;
Lu, Kun
;
Xiu, Dacheng
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 43-79
Persistent link: https://www.econbiz.de/10012139780
Saved in:
8
Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
Gallant, A. Ronald
;
Tauchen, George Eugene
- In:
Journal of econometrics
205
(
2018
)
1
,
pp. 140-155
Persistent link: https://www.econbiz.de/10012110246
Saved in:
9
Resolution of policy uncertainty and sudden declines in volatility
Amengual, Dante
;
Xiu, Dacheng
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011974676
Saved in:
10
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
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